| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -13.99% | -2.08% |
| CAGR﹪ | -5.29% | -0.76% |
| Sharpe | -0.28 | -0.19 |
| Prob. Sharpe Ratio | 2.92% | 4.79% |
| Smart Sharpe | -0.26 | -0.17 |
| Sortino | -0.37 | -0.26 |
| Smart Sortino | -0.35 | -0.24 |
| Sortino/√2 | -0.26 | -0.18 |
| Smart Sortino/√2 | -0.25 | -0.17 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -50.72% | -43.05% |
| Longest DD Days | 374 | 372 |
| Volatility (ann.) | 29.15% | 24.54% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.1 | -0.02 |
| Skew | -0.62 | -0.16 |
| Kurtosis | 9.07 | 1.57 |
| Expected Daily | -0.02% | -0.0% |
| Expected Monthly | -0.44% | -0.06% |
| Expected Yearly | -3.7% | -0.53% |
| Kelly Criterion | 1.07% | -1.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.03% | -2.53% |
| Expected Shortfall (cVaR) | -3.03% | -2.53% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.01 | 0.02 |
| Gain/Pain (1M) | -0.04 | 0.08 |
| Payoff Ratio | 0.94 | 0.99 |
| Profit Factor | 0.99 | 1.02 |
| Common Sense Ratio | 0.91 | 1.0 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.92 | 0.99 |
| Outlier Win Ratio | 3.6 | 3.81 |
| Outlier Loss Ratio | 3.12 | 3.78 |
| MTD | -18.69% | -5.94% |
| 3M | -24.2% | -13.62% |
| 6M | -27.39% | -16.34% |
| YTD | -17.62% | -5.44% |
| 1Y | -46.35% | -38.29% |
| 3Y (ann.) | -5.29% | -0.76% |
| 5Y (ann.) | -5.29% | -0.76% |
| 10Y (ann.) | -5.29% | -0.76% |
| All-time (ann.) | -5.29% | -0.76% |
| Best Day | 11.6% | 5.41% |
| Worst Day | -14.66% | -6.46% |
| Best Month | 9.82% | 8.75% |
| Worst Month | -18.69% | -15.93% |
| Best Year | 22.65% | 23.42% |
| Worst Year | -26.92% | -27.36% |
| Avg. Drawdown | -5.77% | -5.04% |
| Avg. Drawdown Days | 37 | 38 |
| Recovery Factor | -0.28 | -0.05 |
| Ulcer Index | 0.19 | 0.18 |
| Serenity Index | -0.06 | -0.02 |
| Avg. Up Month | 5.52% | 5.19% |
| Avg. Down Month | -5.86% | -5.04% |
| Win Days | 52.11% | 49.55% |
| Win Month | 44.12% | 55.88% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.95 | - |
| Alpha | -0.03 | - |
| Correlation | 79.83% | - |
| Treynor Ratio | -22.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 15.50 | 16.47 | 1.06 | + |
| 2020 | 23.42 | 22.65 | 0.97 | - |
| 2021 | -27.36 | -26.92 | 0.98 | + |
| 2022 | -5.44 | -17.62 | 3.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-16 | 2022-02-25 | -50.72 | 374 |
| 2020-01-20 | 2020-06-23 | -23.70 | 155 |
| 2019-07-03 | 2019-09-12 | -10.99 | 71 |
| 2020-11-10 | 2021-01-08 | -9.74 | 59 |
| 2019-09-13 | 2019-12-12 | -9.29 | 90 |
| 2020-08-27 | 2020-10-12 | -7.76 | 46 |
| 2021-01-26 | 2021-02-09 | -6.11 | 14 |
| 2020-07-14 | 2020-08-25 | -5.84 | 42 |
| 2019-05-22 | 2019-06-11 | -3.05 | 20 |
| 2019-06-13 | 2019-06-18 | -2.76 | 5 |